The traditional Chinese medicine icariin (ICA) and broad-spectrum antibacterial drug moxifloxacin hydrochloride (MOX) were introduced into a polycaprolactone core and gelatin shell, respectively, to develop osteogenic and antibacterial biomimetic periosteum by coaxial electrospinning. The physical properties, drug release, degradation, antibacterial property, in vitro and in vivo osteogenesis performances were investigated. Results demonstrated that stepwise and controlled drug release profiles were achieved based on the core-shell configuration and disparate degradation rate of PCL and gelatin. Only 20% ICA was released from this dual drug-loaded membrane after 1 month while the release of MOX was almost completed. Moreover, clear in vitro antibacterial effect and enhancement in osteogenic marker expressions including osteocalcin, type-I collagen expression, and calcium deposition were observed. Notably, the dual drug-loaded membrane displayed fascinating properties contributing to in vivo bone formation in terms of quality and quantity in a rabbit radius defect model.